Applications of band-limited extrapolation to forecasting of weather and financial time series

2019/02/15 by Nicholas James Rowe, Rowe, Nicholas James
Computer Science · Mathematics · #Blind Source Separation Techniques #FOS: Computer and information sciences #Image and Signal Denoising Methods #Other Statistics (stat.OT) #Statistical and numerical algorithms

paper · pdf · doi:10.48550/arxiv.1902.09501

openalex publication_date 2019/02/15 · openalex created_date 2019/03/02 · openalex updated_date 2026/07/28

Abstract

This paper describes the practical application of causal extrapolation of sequences for the purpose of forecasting. The methods and proofs have been applied to simulations to measure the range which data can be accurately extrapolated. Real world data from the Australian Stock exchange and the Australian Bureau of Meteorology have been tested and compared with simple linear extrapolation of the same data. In a majority of the tested scenarios casual extrapolation has been proved to be the more effective forecaster.

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